Catastrophe bond fund news

The Ambassador US mutual catastrophe bond fund strategy operated by advisor Embassy Asset Management has continued to attract inflows from investors through the Atlantic hurricane season, reaching more than $329 million in assets under management (AUM) this month.

Twelve Capital, the Zurich-headquartered insurance-linked securities (ILS), catastrophe bond and reinsurance investment manager, has reached a new milestone in terms of third-party assets under management, surpassing $4 billion for the very first time across its cat bond and ILS portfolios.

With another week of insights gathered on the potential for any losses from hurricane Milton, thanks to industry loss estimates and catastrophe bond pricing, the net asset values (NAVs) of US mutual investment funds that allocate to catastrophe bonds and other insurance-linked securities (ILS) were mostly marked up again at the end of last week.

It’s now clear that catastrophe bond funds fell far less than the market benchmark on the first pricing after hurricane Milton, with the Plenum CAT Bond UCITS Fund Indices only falling 0.42% at Friday October 11th and the majority of cat bond funds absorbing the initial mark-to-market impacts of the storm within two weeks of […]

At Friday’s pricing, the catastrophe bond market index calculated by Swiss Re Capital Markets bounced back by more than one percent, leaving the benchmark for the entire cat bond market now only -0.30% down since hurricane Milton, while the US wind specific version of the cat bond index also recovered and is now -1.31% since […]

Highlighting the still wide-range of uncertainty in insurance market loss estimates after hurricane Milton, catastrophe bond investment manager Icosa Investments AG has noted that the cat bond market seems not to have discounted prices as widely to account for uncertainty this time.

So far, based on analysis of the catastrophe bonds in the UCITS structure that have priced their net asset value (NAV) since hurricane Milton struck Florida and where we have been able to access that data, the average mark-down across the funds is just -0.77%.

Having shown a divergence in manager strategies as NAVs moved in different directions at times and by different amounts as hurricane Milton approached, the US mutual investment funds that allocate to catastrophe bonds and other insurance-linked securities (ILS) diverged again at pricing on Friday, but have since stabilised having incorporated post-landfall net asset value adjustments.

Catastrophe bond fund manager Icosa Investments has highlighted current uncertainty over the level of losses the market may face from hurricane Milton, but notes that while some principal losses seem likely there remains a high level of uncertainty over certain structures, especially aggregate cat bonds that have much of their risk periods left to run.

A very strong September return across the group of UCITS catastrophe bond fund’s tracked by the Plenum CAT Bond UCITS Fund Indices has taken the average return for the year to October 4th to an impressive 10.6%, although hurricane Milton will dent this slightly once the storm is accounted for.